Closed-form Solution of Bond Prices with Postponement of Redemption
This paper shows the analytical solution of a bond price with postponement of redemption by considering the special case of Ikeda and Kobayashi (2007). We can derive the solution by solving a Wiener-Hopf type integral equation, and such derivation does not have an example in others. Therefore the further development will be expected in various financial analyses.
Year of publication: |
2007-07
|
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Authors: | Ikeda, Ryoichi ; Kobayashi, Takao |
Institutions: | Center for Advanced Research in Finance, Faculty of Economics |
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